MANABU  ASAI

Professor

Contact Information

Faculty of Economics 

Soka University 

1-236 Tangi-cho, Hachioji-shi 

Tokyo, 192-8577, Japan 

E-mail: m-asai[at mark]soka.ac.jp

Major Research Interests:

• Econometrics, especially times series analysis

• Financial econometrics

• Statistics

• Forecasting

Short Biography

Publications

Scoups Page

Google Scholar Page

Orcid Page

Selected Publications:

• "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Higher-Moment Spillovers" (with Chialin Chang and Michael McAleer), Journal of Econometrics, 2022, 227, 285-304.

• "Quasi-Maximum Likelihood Estimation of Conditional Autoregressive Wishart Models" (with Mike K.P. So), Journal of Time Series Analysis, 2021, 42, 271-294.

• “Realized Stochastic Volatility with General Asymmetry and Long Memory” (with Chia-Lin Chang and Michael McAleer), Journal of Econometrics, 2017, 199(2), 202-212.

• “Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance” (with Michael McAleer), Journal of Econometrics, 2015, 189(2), 251-262.

• “Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing” (with Michael McAleer), Journal of Econometrics, 2015, 187(2), 436-446.

• “Asymmetry and Long Memory in Volatility Modeling” (with Michael McAleer and Marcelo C. Medeiros), Journal of Financial Econometrics, 2012, 10(3), 495-512.

• “The Structure of Dynamic Correlations in Multivariate Stochastic Volatility Models” (with Michael McAleer), Journal of Econometrics, 2009, 150(2), 182-192.

• “Multivariate Stochastic Volatility” (with Siddhartha Chib and Yasuhiro Omori), in: T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch(eds.), Handbook of Financial Time Series, Springer-Verlag, New York, 2009, 365-400.

• “Autoregressive Stochastic Volatility Models with Heavy-Tailed Distributions: A Comparison with Multifactor Volatility Models”, Journal of Empirical Finance, 2008, 15(2), 332-341.

• “Multivariate Stochastic Volatility: A Review”, (with Jun Yu and Michael McAleer), Econometric Reviews, 2006, 25(2-3), 145-175.